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I have four alpha models, I want to only use insights from the alpha model that has the best performance in the past 14 days. How can I warm up of that? It seems set_warm_up does not work.
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Mia Alissi
To warm up your alpha models, you would typically use the
SetWarmUpmethod. However, as you've noticed,SetWarmUpdoes not work with universe selection, even if it is manual universe selection. This is because securities are constantly being added/removed from your universe. Instead, you must make a history call to manually warm up any indicators, rolling windows, etc.Here is an example of how to set the warm-up period:
However, in the context of universe selection, you need to request history for each symbol added to Universe and use this history to manually warm up indicator.
As for selecting the best performing alpha model, you would need to implement a scoring system that evaluates the performance of each alpha model over the past 14 days. Unfortunately, the provided knowledge sources do not contain specific information on how to implement such a scoring system.
For more details, you can refer to these discussions on the QuantConnect forum: Algorithm warmup does not actually warm-up an Alpha model and Warming up a Universe and AlphaModels.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Chuanjiang Luo
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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